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Spencer · 2023年02月05日

An optimal risk budgeting

  1. CFA III
  2. Asset Allocation

NO.PZ2018110601000019

问题如下：

Which of the following statement regarding risk budgeting is most appropriate?

选项：

A.

An optimal risk budgeting is to minimize the total risk.

B.

Risk budgeting is on top-level rather than allocates the risk to a portfolio’s constituent parts.

C.

An asset allocation is optimal when the ratio of excess return to marginal contribution to risk is the same for all assets.

解释：

C is correct.

考点：risk budgeting

解析：risk budgeting的目标是最大化每承担一单位风险所获得的收益，而不是最小化风险，A错。risk budgeting的过程是识别所有风险并且分配风险，B错。C是risk budgeting的结论，当每个资产类型的excess return/MCTR都相同时，资产配置是最优的。

老师请问，An optimal risk budgeting is to maximize utility, 对吗？

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已采纳答案

lynn_品职助教 · 2023年02月07日

嗨，努力学习的PZer你好：


我们从字面意义上就能了解到risk budgeting风险预算，是要把portfolio能承受的总风险在不同资产之间分配，


达到每种资产的风险相等（ACTRi=ACTRj）这种广义risk budget(risk parity)


以及excess return/MCTRi=excess return/MCTRj这种狭义的risk budget状态。


An optimal risk budgeting is to maximize utility


我们来看看utility function，U=E(r)-1/2Aσ2，结合上面的结论，其实同学的说法在一定程度上是对的，因为效用同时考虑了收益和风险，求最大化和资产配置最优本质上也无不同。只是因为risk budgeting有自己的公式，一般不用utility来表达。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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